One of the two men was armed with a gun, and asked Blair's group for cash and jewelry, but the suspects quickly fled.

"Kathryn was with a group of friends," Grant told the Mail. "No one was hurt and nothing was stolen."

The incident concerned the locals.

"It is frightening to know that happened," dog walker Marion Rowland, 68, told the paper. "It's very peaceful around here and I'm going to take more care in the future. I walk the dog at around 10 p.m., but I might have to rethink doing that."

Detective Inspector Chris Rhodes, from Westminster's Robbery and Burglary Squad, appealed through the paper "for the public's help to try and track down the man responsible and his accomplice. If you were out and about around this area on Monday night and saw something then please get in touch."

In Britain, gun crime has fallen about 40 percent in the last 10 years, with only 39 people shot and killed in 2011-12, The Daily Beast reports.

Tony Blair served is a member of the British Labour Party who served as U.K. Prime Minister from 1997 to 2007. He became Prime Minister at age 43, the youngest to hold that post since Lord Liverpool in 1812. He won three straight elections for the center-left Labour party. He faced opposition over his decision to involve Britain in the 2003 Iraq invasion.